Files in this item
Dynamic benchmark targeting
Item metadata
dc.contributor.author | Schlag, Karl H. | |
dc.contributor.author | Zapechelnyuk, Andriy | |
dc.date.accessioned | 2018-08-20T23:40:32Z | |
dc.date.available | 2018-08-20T23:40:32Z | |
dc.date.issued | 2017-05-01 | |
dc.identifier | 249597706 | |
dc.identifier | b9d407a9-d5e5-43b5-b666-792c4b7b62c0 | |
dc.identifier | 85013392752 | |
dc.identifier | 000401394800007 | |
dc.identifier.citation | Schlag , K H & Zapechelnyuk , A 2017 , ' Dynamic benchmark targeting ' , Journal of Economic Theory , vol. 169 , pp. 145-169 . https://doi.org/10.1016/j.jet.2017.02.004 | en |
dc.identifier.issn | 0022-0531 | |
dc.identifier.other | ORCID: /0000-0001-5033-3848/work/63716983 | |
dc.identifier.uri | https://hdl.handle.net/10023/15847 | |
dc.description.abstract | We study decision making in complex discrete-time dynamic environments where Bayesian optimization is intractable. A decision maker is equipped with a finite set of benchmark strategies. She aims to perform similarly to or better than each of these benchmarks. Furthermore, she cannot commit to any decision rule, hence she must satisfy this goal at all times and after every history. We find such a rule for a sufficiently patient decision maker and show that it necessitates not to rely too much on observations from distant past. In this sense we find that it can be optimal to forget. | |
dc.format.extent | 25 | |
dc.format.extent | 382798 | |
dc.language.iso | eng | |
dc.relation.ispartof | Journal of Economic Theory | en |
dc.subject | Dynamic consistency | en |
dc.subject | Experts | en |
dc.subject | Forecast combination | en |
dc.subject | Non-Bayesian decision making | en |
dc.subject | Regret minimization | en |
dc.subject | HB Economic Theory | en |
dc.subject | Economics and Econometrics | en |
dc.subject | T-NDAS | en |
dc.subject | BDC | en |
dc.subject | R2C | en |
dc.subject.lcc | HB | en |
dc.title | Dynamic benchmark targeting | en |
dc.type | Journal article | en |
dc.contributor.institution | University of St Andrews. School of Economics and Finance | en |
dc.identifier.doi | 10.1016/j.jet.2017.02.004 | |
dc.description.status | Peer reviewed | en |
dc.date.embargoedUntil | 2018-08-21 |
This item appears in the following Collection(s)
Items in the St Andrews Research Repository are protected by copyright, with all rights reserved, unless otherwise indicated.